I'm implementing a Multi Time Frame Strategy (to be able to backtest tick by tick and aviod intrabar OHLC problems).
The problem I'm facing is I live in GMT+8, so ES trading hours go from 22:30 to 06:15 next day.
Backtesting the strategy, everyday at 00:00 if there a live order, it closes it at price 0 (zero). I tried TimeInForce = Cbi.TimeInForce.Gtc but problem is still the same.
What should I do?
Thanks,
pak
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